Mexico's Secretariat of Public Security said about 20,000 people in Mexico City protested against U.S. President Donald Trump, while some also demonstrated against their own President Enrique Peña Nieto.
Al Jazeera's John Holman, reporting from Mexico City, said this was the first mass protest against Trump in the country.
Trump has said he wants to renegotiate NAFTA, calling the deal one-sided and blaming it for gutting US manufacturing.
The marchers protested Trump's plans for a border wall and increased deportations of migrants.
About 20,000 people marched, many dressed in white, some carried Mexican flags, as a sign of unity.
Smaller marches were held in other Mexican cities Sunday. No violence was reported.
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"It's time we citizens combine forces and unite our voices to show our indignation and rejection of President Trump, while contributing to the search for concrete solutions", said the coalition organising the marches, according to a report in Times Live. Those comments have not gone unnoticed in Mexico. "Just ask any American employer and you'll see".
Trump suggested that his involvement in the design of the controversial wall would help to bring down the estimated $21 billion (£16.8 billion) it will take to construct the barrier.
"It's grown exponentially", said Videgaray, adding that people were calling with questions, complaints and worries about the process rather than because of the number of raids.
Mexico sends 80 percent of its exports to the U.S., almost $300bn in goods in 2015.
As the protests began to unfold, Mexican presidential hopeful Andres Manuel Lopez Obrador announced he will be visiting the United States to address both Mexicans and Americans in Los Angeles about Trump's "poisonous" rhetoric.